Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0125
Annualized Std Dev 0.1842
Annualized Sharpe (Rf=0%) -0.0680

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1526
Quartile 1 -0.0044
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0052
Maximum 0.1216
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0116
Skewness -1.2624
Kurtosis 19.2868

Downside Risk

Close
Semi Deviation 0.0088
Gain Deviation 0.0080
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0135
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.6902
Historical VaR (95%) -0.0157
Historical ES (95%) -0.0296
Modified VaR (95%) -0.0184
Modified ES (95%) -0.0455
From Trough To Depth Length To Trough Recovery
1999-01-05 2008-11-20 NA -0.6902 5589 2487 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.7 -0.7 0 0 0 0 -0.7 0 0 1.6 0.9 0.9 2.7
2000 -0.9 -1.9 0.9 0.9 0 0 -1.6 -0.8 0 1.7 3.7 0.8 2.8
2001 0.4 1.5 1.3 -0.4 0.6 0.8 0.1 0.6 -0.1 1.2 -0.9 0.4 5.5
2002 -0.1 -1.1 -0.7 -1 1.8 -0.8 4 -1.1 0.5 3 0.6 0.6 5.7
2003 2.3 0.8 1.5 0.6 0.2 0.9 -0.6 0.6 0.4 0.2 1.1 0.5 8.7
2004 0 0.9 -0.7 0 0.8 -0.7 0.7 0.7 0 -0.3 -0.3 0.3 1.3
2005 0.5 1.6 0.2 -0.7 0 0.5 0.3 0.3 0.2 0.2 0.7 0.5 4.3
2006 -0.2 -0.2 0.5 -0.2 0.2 -0.3 0 -0.2 0.6 -0.6 1.5 0.4 1.6
2007 0 0 0.3 0 -0.5 0.7 -3.3 0 0.6 -0.7 0.1 0.1 -2.8
2008 0 -1.4 1.4 -1.5 0 -1.1 -1.7 1.7 0.2 1.8 -1.8 6.5 3.9
2009 0.3 -0.6 -0.4 1.5 0.7 1.3 0 0 -0.9 -2.8 1.5 0 0.5
2010 0.2 0.3 0.7 -0.2 1.2 0.7 1.3 0.6 0 0 -0.3 0.5 5.1
2011 0.3 -0.3 0.3 -0.5 -0.3 0 0.2 -0.3 -4.3 -1.1 0.6 0.8 -4.7
2012 1.3 0.9 -0.1 0.4 -1 0.8 0.8 -0.4 0 -0.5 0.1 -0.1 2.2
2013 0.3 0.8 0 -0.3 -2.9 1.2 -0.7 -0.3 -0.6 0 0 0.3 -2.1
2014 -0.3 0.4 0.6 -0.4 0.4 -0.2 -0.6 0.2 0.2 0.2 -0.3 -0.1 0
2015 0.3 0.7 -0.8 -0.2 -0.3 0.3 1.1 -1 -0.8 1.2 0.2 0.5 1
2016 0.3 1.2 0.5 1.1 0 1.1 -0.3 -0.4 0.1 -0.9 -1.8 0 0.8
2017 -0.3 0.1 -0.4 -0.6 -0.1 0.1 0 0.3 1 0 0.3 -0.4 0
2018 -1.1 -0.3 0.9 0.1 0.3 0 -0.6 0.1 0.3 0.2 1.1 1.1 2.1
2019 0.5 0 -0.1 0.1 -0.6 -0.5 -0.1 0.8 0.1 -0.2 -0.4 0.3 -0.2
2020 -0.5 -3.9 -4.7 -2 -1 1 1.2 0.9 0.4 -0.9 0.6 1.2 -7.7
2021 0.1 2.2 0.1 NA NA NA NA NA NA NA NA NA 2.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.81 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.56 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9.5  SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.31 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.31 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.31 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart